Z-score (-1.48) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.65 · Cointegrated: yes
Z-score: -1.54 entry / -1.48 rolling
Half-life 0.9h · Hurst 0.85 · Hedge ratio 1.31
Pair volatility: 27.91%
Backtest: 64.00% win · Sharpe 1.64 · 1.08% return · 1.00% max drawdown
Pair Analysis: Long BIGTIME / Short SUPER
Statistical Diagnostics
- Roll Z-Score: -1.48 (1h), -1.32 (4h), -1.65 (1d)
- Note: The negative z-score indicates the spread is currently statistically "cheap" (mean-reverting long).
- Correlation: 0.62–0.67 (Moderate)
- Cointegration: True (1h/4h), False (1d)
- Half-Life: 6h (4h timeframe) — indicates a relatively fast mean-reversion potential.
- Hedge Weights (4h): 40.9% BIGTIME / 59.1% SUPER
Sentiment & Fundamental Context
- BIGTIME (Bearish): Facing significant headwinds from structural supply unlocks and reduced exchange support, creating persistent inflationary pressure.
- SUPER (Bullish): Benefiting from institutional endorsement and real-world utility (Superstate fund), positioning it as a stronger fundamental asset.
Remark
This setup presents a high-risk divergence between statistical mean reversion and fundamental trend. While the negative z-score (-1.48) suggests a statistical opportunity to go long the spread (Long BIGTIME / Short SUPER), the fundamental sentiment is diametrically opposed: you are effectively betting on a mean reversion in a pair where the long leg (BIGTIME) is fundamentally deteriorating while the short leg (SUPER) is strengthening.
The statistical signal is currently "cheap," but the fundamental "value" is likely declining. Proceed with caution; this trade relies entirely on a short-term technical bounce rather than a structural convergence.
BIGTIME
SUPER